Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 29 (1D) Oct 30 (2D) Oct 31 (3D) Nov 03 (6D) Nov 04 (7D) Nov 05 (8D) Nov 06 (9D) Nov 07 (10D) Nov 10 (13D) Nov 11 (14D) Nov 14 (17D) Nov 21 (24D) Nov 28 (31D) Dec 05 (38D) Dec 12 (45D) Dec 19 (52D) Dec 26 (59D)
lower 681.415 679.081 677.29 673.247 672.141 671.111 670.144 669.23 666.732 665.965 663.815 659.443 655.674 652.312 649.248 646.414 643.765
upper 692.685 695.019 696.81 700.853 701.959 702.989 703.956 704.87 707.368 708.135 710.285 714.657 718.426 721.788 724.852 727.686 730.335
expected move 5.635 7.969 9.76 13.803 14.909 15.939 16.906 17.82 20.318 21.085 23.235 27.607 31.376 34.738 37.802 40.636 43.285
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
LinkedIn Connect with me on LinkedIn